Most individual investors look at penny stocks like Wall Street's Wild West, an untamed world of investing detached from all the glitz and media coverage that comes with stocks that are traded on major exchanges. While the gains and losses can be pretty impressive in the penny stock world, they're not often heard about elsewhere.

Just because you don't hear about penny stocks every day on CNBC doesn't mean that penny stocks are without drama - take SCO Group (SCOX - Cramer's Take - Stockpickr), a software company that brought on the wrath of the world's computer-literati when it made claims to the UNIX operating system. Unfortunately, penny stocks have also garnered a reputation as a game filled with scams and corruption. Indeed, penny stocks could be your wildest ride yet as an investor.

So then, if penny stocks usually aren't traded on normal exchanges, where can you buy them?

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